This book explores how the economic sphere has experienced an ultimate shape after the occurrence of several crises, since 2000s. The subprime crisis has trigged the transition from conventional to unconventional frameworks in most industrialised and emerging economies. This book highlights how the sovereign debt crisis has exacerbated the economic environment and raised economic uncertainty. This book asserts that markets integration have boosted contagion and risk spillovers among financial markets. Moreover, the Brexit and US-China trade tension has intensified uncertainty and the economic challenges.
This book examines in recent times how humanity has experienced the most dramatic health crisis and their economic effects. This pandemic lockdowns several countries and caused an economic and financial collapse. This book expands on these crises, with different origins and mechanisms, have shaped the economic systems in several ways: monetary policy, macroeconomic imbalance, economic growth, economic integration, financial risk, volatility and trade effects.
The main aims of this book cover the topical issues related to crises and uncertainty and the economic consequences. This book is drawn from academics and practitioners presenting high-quality original research papers, presented in the Financial and Economic Meeting conference 2021.
Author(s): Hachmi Ben Ameur, Zied Ftit), Wael Louhichi, Jean-Luc Prigent
Edition: 1st ed. 2022
Publisher: Springer
Year: 2023
Language: English
Pages: 236
City: Singapore
Preface
Contents
Part I Economic Dynamics in Time of Crisis
1 Covid-19: What Determines Policy Responses Across Europe?
1.1 Introduction: Policy Determinants and Interactions in Pandeconomies
1.2 The Covid-19 Policy Context, Data and Methodology
1.2.1 The Covid-19 Policy Context
1.2.2 Data
1.2.3 Model Specifications and Summary Statistics
1.3 Results
1.3.1 Base Model
1.3.2 Public Policy Interactions
1.3.3 Public-Private Policy Interactions
1.4 Discussion
References
2 Financial Integration and Labor Mobility in a Monetary Union
2.1 Introduction
2.2 Model
2.2.1 Consumption
2.2.2 Workers
2.2.3 Labor Market
2.2.4 Bankers
2.2.5 Credit Market
2.2.6 Entrepreneurs
2.3 Calibration
2.4 Simulation
2.4.1 Transitory Shocks on Mobility Costs
2.4.2 Permanent Shocks on Mobility Costs
2.5 Case of European Monetary Union
2.5.1 Calibration
2.5.2 Simulation: Scenario After 2008 Financial Crisis
2.6 Conclusion
Appendix 1: Discrete Choice Theory
Workers and Bankers
Inflow and Outflow
Appendix 2: IRFs
Stochastic Shock on Capital Mobility Cost ηb
Stochastic Shock on Labor Mobility Cost η
References
3 Macroeconomic-Financial Policies and Climate Change Nexus: Theory & Practices
3.1 Introduction
3.2 Climate Change
3.3 Macroeconomic and Financial Policies
3.4 Macroeconomic-Financial Policies and Climate Change
3.4.1 Underpinnings
3.4.2 Some Basic Facts and Empirical Evidence
3.5 Critical Reflections
3.6 Conclusions
References
4 Exchange Market Volatility Spillover in Time of Crisis: Evidence from a Smooth Transition Regression Application
4.1 Introduction
4.2 Data
4.3 Methodology
4.3.1 Assessment of Currency Volatility and Financial Crises
4.3.2 Regional Contagion Modelling
4.4 Empirical Results
4.4.1 Currency Volatility and Financial Crises Relationships
4.4.2 Regional Contagion Effect
4.5 Conclusion
References
5 Bank Lending Procyclicality and Digital Technologies; Does the Structure of the Financial Sector Matter?
5.1 Introduction
5.2 Literature Review
5.3 Model Description
5.3.1 Results of the Model
5.4 Impact of COVID-19 on Bank Lending
5.5 Conclusions
References
6 What Role for Macroeconomic Environment on Living Standards in Times of Crisis and Uncertainty
6.1 Introduction
6.2 Poverty Causes and Measurement
6.3 Empirical Studies of Country-Level Factors Determining Material Deprivation in the EU
6.4 Data and Model Specification
6.5 Empirical Results
6.6 Conclusion and Policy Recommendations
Appendix
References
Part II Financial Markets Behavior Under COVID-19 Crisis
7 What Can We Learn from Statistical Regularities in Stock Returns? Insights from An Entropy-Constrained Framework
7.1 Introduction
7.2 Data Collection and Analysis
7.3 The Quantal Response Statistical Equilibrium Model
7.3.1 The Behavioral Constraint
7.3.2 The Feedback Constraint
7.3.3 The Role of Expectations
7.4 Model Inference and Results
7.5 Conclusions
Appendix 1
The Maximum Entropy Principle
The Derivation of Investor's Behavior
Appendix 2
Model Derivation and Inference
References
8 Has COVID-19 Pandemic Fear Affected Eurozone StockMarkets?
8.1 Introduction
8.2 Theoretical Background
8.3 Related Literature
8.4 Data and Methodology
8.5 Analysis and Discussion of Results
8.6 Conclusions
References
9 Financial Performance During the COVID-19 Crisis: The Role of Investment and Revenue
9.1 Introduction
9.2 Literature Review and Hypotheses Development
9.2.1 The Role of Investment
9.2.2 The Role of Sales Revenue
9.2.3 Industrial Impact
9.3 Impact of COVID-19 on the Performance of Tunisian Listed Firms
9.3.1 Methodology
9.3.2 Empirical Results
9.4 Conclusion
References
10 U.S Stock Market and Cryptocurrencies During the COVID-19 Pandemic Outbreak
10.1 Introduction
10.2 Data and Their Proprieties
10.3 Empirical Methodology
10.3.1 DCC Model
10.3.2 Hedging Analysis
10.4 Empirical Results
10.4.1 Regression Results and Forecasting Dynamic Conditional Correlation Analysis
10.4.2 Hedging Analysis
10.4.2.1 Optimal Hedge Ratios
10.4.2.2 Hedge Performance
10.5 Conclusion
References
11 Management and Resolution Methods of Non-performing Loans: A Review of the Literature
11.1 Introduction
11.2 The Impact of NPLs on Banks' Growth
11.3 Management of Non-performing Loans
11.3.1 Ex-ante NPL Management
11.3.1.1 Regulatory Forbearance and Bank Resolution
11.3.2 Ex-post NPL Management
11.3.3 Ex-ante and Ex-post NPL Measures: The Euro Area Case
11.4 NPL Resolution Methods
11.5 Structural Barriers to NPL Resolution in European Union
11.6 Conclusions and Policy Implications
References
12 How Accurate Are Risk Models During COVID-19 Pandemic Period?
12.1 Introduction
12.2 Related Literature
12.3 Methodologies
12.3.1 Specifying Volatility
12.3.2 VaR with the Filtered Historical Simulation Approach
12.3.3 VaR with the Cornish-Fisher Approximation
12.3.4 VaR with the Standardized T-Distribution
12.3.5 VaR with the Extreme Value Theory
12.4 Empirical Results
12.4.1 Descriptive Statistics
12.4.2 The Performance of the VaR's Models
12.5 Conclusion
References
13 What Does Matter the Climate Change Risk on Agriculture Adaptation: Evidence From Southern Mediterranean Country
13.1 Introduction
13.2 Related Literature
13.3 Empirical Methodology
13.3.1 Testing for Panel Stationarity and Cointegration
13.3.2 Estimation Method: Fully Modified OLS Versus Dynamic OLS
13.3.3 Extrapolation of Yield Losses Based on Climate Change Scenarios
13.4 Empirical Results
13.4.1 Data
13.4.2 Results
13.4.2.1 Panel Unit Root Tests
13.4.2.2 Cointegration Test
13.4.2.3 Estimation
13.4.2.4 Extrapolations and Forecasts
13.4.2.5 Insurance as Way to Adapt to Climate Change
13.5 Conclusion
References
